{"created":"2023-05-15T15:30:31.610244+00:00","id":9964,"links":{},"metadata":{"_buckets":{"deposit":"3ba85867-75b0-474b-9176-4c3213eb60b7"},"_deposit":{"created_by":1,"id":"9964","owners":[1],"pid":{"revision_id":0,"type":"depid","value":"9964"},"status":"published"},"_oai":{"id":"oai:shiga-u.repo.nii.ac.jp:00009964","sets":["1159:1166:1168"]},"author_link":["36653","36652","36651"],"item_7_biblio_info_8":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2005-08","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"B-7","bibliographicPageEnd":"21","bibliographicPageStart":"1","bibliographic_titles":[{"bibliographic_title":"CRR Working Paper, Series B"}]}]},"item_7_description_43":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"subitem_description":"Technical Report","subitem_description_type":"Other"}]},"item_7_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"The LIBOR market (LM) model (Brace, Gatarek, and Musiela [8],\nMiltersen, Sandmann, Sondermann [21], and Jamshidian [18]) is a HeathJarrow-Morton\nmodel (Heath, Jarrow, and Morton [15]) specified to be an\ninterest rate version of the celebrated Black-Scholes model of stock price, and\nis the most popular among practitioners and researchers. However, a statistical\ntest (Kusuda [19]) rejected the LM model, and suggested that the deterministic\nvolatility in the LIBOR market model should be replaced with a stochastic\none and/or that a jump process should be introduced into the LM model. This\npaper presents a stochastic volatility jump-diffusion LM model using a general\nequilibrium security market model of Kusuda [19]. Approximate general\nequilibrium pricing formulas for caplet and swaption are derived exploiting the\nforward martingale measure approach (Jamshidian [17]) and a Fourier transform\nmethod (Heston [16], Bates [4], and Duffie, Pan, and Singleton [13]).","subitem_description_type":"Abstract"}]},"item_7_description_7":{"attribute_name":"引用","attribute_value_mlt":[{"subitem_description":"CRR Working Paper, Series B, No. B-7, pp. 1-21","subitem_description_type":"Other"}]},"item_7_full_name_2":{"attribute_name":"著者(ヨミ)","attribute_value_mlt":[{"nameIdentifiers":[{}],"names":[{"name":"クスダ, コウジ"}]}]},"item_7_full_name_3":{"attribute_name":"著者別名","attribute_value_mlt":[{"nameIdentifiers":[{}],"names":[{"name":"楠田, 浩二"}]}]},"item_7_publisher_35":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"Center for Risk Research (CRR), Shiga University"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Kusuda, Koji"}],"nameIdentifiers":[{}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2018-09-14"}],"displaytype":"detail","filename":"B7Kusuda200508.pdf","filesize":[{"value":"348.9 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"B7Kusuda200508.pdf","url":"https://shiga-u.repo.nii.ac.jp/record/9964/files/B7Kusuda200508.pdf"},"version_id":"7ba85044-1a8d-4ee7-896c-c9dc14b13c49"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Affine jump-diffusion","subitem_subject_scheme":"Other"},{"subitem_subject":"Approximately complete markets","subitem_subject_scheme":"Other"},{"subitem_subject":"Equilibrium pricing","subitem_subject_scheme":"Other"},{"subitem_subject":"Forward martingale measure","subitem_subject_scheme":"Other"},{"subitem_subject":"Fourier transform","subitem_subject_scheme":"Other"},{"subitem_subject":"Interest rate derivative","subitem_subject_scheme":"Other"},{"subitem_subject":"Jump-diffusion model","subitem_subject_scheme":"Other"},{"subitem_subject":"LIBOR","subitem_subject_scheme":"Other"},{"subitem_subject":"LIBOR market model","subitem_subject_scheme":"Other"},{"subitem_subject":"Stochastic volatility","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"eng"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"technical report","resourceuri":"http://purl.org/coar/resource_type/c_18gh"}]},"item_title":"A Stochastic Volatility Jump-Diffusion LIBOR Market Model and General Equilibrium Pricing of Interest Rate Derivatives","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"A Stochastic Volatility Jump-Diffusion LIBOR Market Model and General Equilibrium Pricing of Interest Rate Derivatives"}]},"item_type_id":"7","owner":"1","path":["1168"],"pubdate":{"attribute_name":"公開日","attribute_value":"2009-03-26"},"publish_date":"2009-03-26","publish_status":"0","recid":"9964","relation_version_is_last":true,"title":["A Stochastic Volatility Jump-Diffusion LIBOR Market Model and General Equilibrium Pricing of Interest Rate Derivatives"],"weko_creator_id":"1","weko_shared_id":-1},"updated":"2023-05-15T19:17:24.877113+00:00"}